Piecewise constant time dependent Heston Calibration on GPU (CUDA)

Posted by Klaus Spanderen-2 on Oct 06, 2010; 12:55pm
URL: http://quantlib.414.s1.nabble.com/Piecewise-constant-time-dependent-Heston-Calibration-on-GPU-CUDA-tp8398.html

Hi

just If you are interest in GPU computing please find attached the GPU code
for pricing and calibration of a piecewise constant time dependent Heston
model based on the QuantLib. Example code is in test-suite/hestonmodel.cpp. I
have to admit that the implementation is not tested too much and is not
production ready!

Raw pricing speed on a GT200 chip is around 1.2 million NPVs per sec.

regards
 Klaus

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